Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0831 |
| Annualized Std Dev | 0.1821 |
| Annualized Sharpe (Rf=0%) | 0.4564 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 4110.0000 |
| NAs | 1.0000 |
| Minimum | -0.0878 |
| Quartile 1 | -0.0052 |
| Median | 0.0006 |
| Arithmetic Mean | 0.0004 |
| Geometric Mean | 0.0003 |
| Quartile 3 | 0.0062 |
| Maximum | 0.1129 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0000 |
| UCL Mean (0.95) | 0.0007 |
| Variance | 0.0001 |
| Stdev | 0.0115 |
| Skewness | -0.1850 |
| Kurtosis | 6.3269 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0083 |
| Gain Deviation | 0.0078 |
| Loss Deviation | 0.0086 |
| Downside Deviation (MAR=210%) | 0.0131 |
| Downside Deviation (Rf=0%) | 0.0081 |
| Downside Deviation (0%) | 0.0081 |
| Maximum Drawdown | 0.4556 |
| Historical VaR (95%) | -0.0180 |
| Historical ES (95%) | -0.0273 |
| Modified VaR (95%) | -0.0176 |
| Modified ES (95%) | -0.0303 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2011-08-23 | 2015-12-17 | 2020-07-29 | -0.4556 | 2248 | 1088 | 1160 |
| 2008-03-18 | 2008-11-12 | 2009-09-16 | -0.2941 | 379 | 168 | 211 |
| 2006-05-15 | 2006-06-14 | 2007-09-18 | -0.2179 | 339 | 22 | 317 |
| 2020-08-07 | 2021-03-08 | NA | -0.1877 | 156 | 146 | NA |
| 2009-12-03 | 2010-02-08 | 2010-05-11 | -0.1270 | 109 | 45 | 64 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2004 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0.6 | -0.1 | 0.5 |
| 2005 | -0.3 | -0.7 | -0.5 | 0.8 | -0.3 | -1.7 | 0.7 | 1.9 | -0.8 | -1.4 | 2.2 | 0.2 | 0 |
| 2006 | 0 | 0.1 | -0.9 | 0.1 | -2.6 | 2.9 | 1.8 | -0.2 | -0.5 | 1.9 | -0.4 | 0.5 | 2.5 |
| 2007 | 0.6 | -1 | 0.1 | -0.6 | 1.4 | 0 | 0.2 | 1.1 | 0.5 | -0.9 | -1.2 | -0.7 | -0.4 |
| 2008 | -2.2 | 0.2 | -3.9 | -3.1 | 1.1 | 1.4 | -0.6 | -0.6 | 1.1 | -1.9 | -5.8 | 0.7 | -13.1 |
| 2009 | 2 | -0.5 | 0.8 | -0.4 | -0.5 | 1.3 | 1.9 | 0.5 | -1 | -0.2 | 1.5 | 0.4 | 6.1 |
| 2010 | 2.3 | 0 | 1.2 | 0.9 | 0.9 | -3.8 | 1.1 | -0.3 | 0.8 | -0.5 | 0 | 1.2 | 3.6 |
| 2011 | 0.7 | 1.7 | -0.5 | 1.7 | 0.2 | -0.7 | -0.4 | 0.1 | 0.2 | 0 | -0.3 | 1.1 | 3.9 |
| 2012 | 0.1 | 1.4 | 0.5 | -0.3 | 3.9 | 2.7 | -0.9 | 2.3 | 0.2 | -0.5 | -0.7 | 0.9 | 10.1 |
| 2013 | 0.2 | -0.4 | 0.1 | -1.2 | -2 | 1.7 | -1.1 | -0.9 | -2.8 | -0.6 | 1 | 0.6 | -5.3 |
| 2014 | 0.3 | -0.5 | -0.2 | -0.3 | -0.4 | -0.3 | 0.8 | -0.1 | 0.5 | -2.2 | 4 | -1.4 | 0 |
| 2015 | 2.2 | 0.1 | 1.7 | -0.3 | -0.1 | -0.3 | 0.6 | 0.3 | -0.1 | -0.4 | 0.4 | 0 | 4.1 |
| 2016 | 1 | -0.7 | -0.6 | 1.9 | -0.1 | 1.5 | 0.2 | 0.4 | -0.3 | 0.6 | -0.2 | -0.6 | 3.2 |
| 2017 | -0.3 | -0.1 | 0.2 | -0.9 | 0.1 | -0.3 | -0.1 | 0.2 | -0.5 | 0.4 | 0.4 | 0.7 | -0.3 |
| 2018 | 0.3 | -0.2 | 0 | -0.7 | -0.5 | 0.4 | -0.7 | -0.1 | -0.2 | 1.3 | -0.2 | 0.2 | -0.4 |
| 2019 | -0.2 | -1.7 | -0.4 | -0.7 | 1.3 | -1.9 | 2.4 | -0.3 | 0.5 | 0.1 | 0.6 | 0.2 | 0 |
| 2020 | 0.6 | -3.6 | 0.9 | 0.6 | 0.5 | -0.4 | 0.9 | 0.1 | 0.9 | 0.5 | 2.1 | 0.4 | 3.3 |
| 2021 | 0.9 | -0.2 | 0.4 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 1.2 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2004-11-18 44.4 SPY 119. 0.0013 0.0075 0.0744 0.0748 0.144 0.0383 -0.150 GLD 44.4 NA NA
2 2004-11-19 44.8 SPY 117. -0.0111 -0.0115 0.0556 0.0655 0.121 0.0143 -0.162 GLD 44.8 0.009 NA
3 2004-11-22 45.0 SPY 118. 0.00480 -0.0063 0.0726 0.0691 0.137 0.0277 -0.165 GLD 45.0 0.0038 NA
4 2004-11-23 44.8 SPY 118. 0.0015 0.00240 0.0756 0.0635 0.134 0.0361 -0.165 GLD 44.8 -0.0044 NA
5 2004-11-24 45.0 SPY 118. 0.00240 -0.00120 0.0619 0.0661 0.122 0.0239 -0.170 GLD 45.0 0.0067 NA
6 2004-11-26 45.3 SPY 118. -0.0008 -0.0033 0.0485 0.0619 0.117 0.0209 -0.170 GLD 45.3 0.0053 0.0205
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
